论文信息 - Evidence for Chaotic Dependence between US Inflation and Commodity Prices

Evidence for Chaotic Dependence between US Inflation and Commodity Prices

Our objective in this paper is to identify the nature of the dependence or causal relationship that exists between US inflation and commodity prices using recent methods of linear cointegration, and non-linear Granger causality. The main contribution is the construction of a noisy chaotic multivariate model, using the bivariate noisy Mackey-Glass process, to approximate the complex dynamics that determine the specific character of the observed causality and feedback.

Walter C. Labys | Catherine Kyrtsou | W. Labys | Catherine Kyrtsou

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